• Communications for Statistical Applications and Methods
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• v.19 no.1
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• pp.23-32
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• 2012

This paper deals with the bias and variance of regression coefficient estimators in a finite population. We derive approximate formulas for the bias, variance and mean square error of two estimators when we select a fixed-size inclusion probability proportional to the size sample and then estimate regression coefficients by the ordinary least square estimator as well as the weighted least square estimator based on the selected sample data. Necessary and sufficient conditions for the comparison of the two estimators in terms of variance and mean square error are suggested. In addition, a simple example is introduced to numerically compare the variance and mean square error of the two estimators.

• KDI Journal of Economic Policy
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• v.36 no.2
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• pp.1-64
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• 2014

This paper attempts to search the driving forces of the Korean economy after 2000 by analyzing an estimated DSGE model and observing the degree of implementation regarding non-systematic parts of both the monetary and fiscal policy during the global financial crisis. Two types of trends, various cyclical factors and frictions are introduced in the model for an empirical analysis in which historical decompositions of key macro variables are quantitatively assessed after 2000. While the monetary policy during the global financial crisis have reacted systematically in accordance with the estimated Taylor rule relatively, the fiscal policy which was aggressively expansionary is not fully explained by the estimated fiscal rule but more by the large magnitude of non-systematic reaction.

• Journal of the Korea Society for Simulation
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• v.32 no.1
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• pp.23-34
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• 2023

The purpose of this paper is to review global stochastic optimization algorithms(GSOA) in case binary response experimentation is used and to compare the performances of them. GSOAs utilise estimator of probability of success $\^p$ instead of population probability of success p, since p is unknown and only known by its estimator which has stochastic characteristics. Hill climbing algorithm algorithm, simple random search, random search with random restart, random optimization, simulated annealing and particle swarm algorithm as a population based algorithm are considered as global stochastic optimization algorithms. For the purpose of comparing the algorithms, two types of test functions(one is simple uni-modal the other is complex multi-modal) are proposed and Monte Carlo simulation study is done to measure the performances of the algorithms. All algorithms show similar performances for simple test function. Less greedy algorithms such as Random optimization with Random Restart and Simulated Annealing, Particle Swarm Optimization(PSO) based on population show much better performances for complex multi-modal function.

• Journal of Korea Water Resources Association
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• v.39 no.8 s.169
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• pp.659-668
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• 2006

The uncertainty of the risk of failure of hydraulic structures can be determined by estimating the variance of the risk of failure based on the methods of moments, probability weighted moments, and maximum likelihood assuming that the underlying model is the Gumbel distribution. In this paper, the variance of the risk of failure was derived. Monte Carlo simulation was peformed to verify the characteristics of the derived formulas for various sample size, design life, nonexceedance probability, and variation coefficient. As the results, PWM showed the smallest relative bias and root mean square error than the others while ML showed the smallest ones for relatively large sample siBes regardless of design life and nonexceedance probability. Also, it was found that variation coefficient does not effect on the relative bias and relative root mean square error.

• Journal of Internet Computing and Services
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• v.15 no.5
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• pp.17-24
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• 2014

Blind algorithms designed to maximize the probability that constant modulus errors become zero carry out some summation operations for a set of constant modulus errors at an iteration time inducing heavy complexity. For the purpose of reducing this computational burden induced from the summation, a new approach to the estimation of the zero-error probability (ZEP) of constant modulus errors (CME) and its gradient is proposed in this paper. The ZEP of CME at the next iteration time is shown to be calculated recursively based on the currently calculated ZEP of CME. It also is shown that the gradient for the weight update of the algorithm can be obtained by differentiating the ZEP of CME estimated recursively. From the simulation results that the proposed estimation method of ZEP-CME and its gradient produces exactly the same estimation results with a significantly reduced computational complexity as the block-processing method does.

• The Korean Journal of Applied Statistics
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• v.36 no.1
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• pp.85-100
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• 2023

The stochastic volatility (SV) model is one of the main methods of modeling time-varying volatility. In particular, SV model is actively used in estimation and prediction of financial market volatility and option pricing. This paper attempts to model the time-varying volatility of the bitcoin market price using SV model. Hidden Markov model (HMM) is combined with the SV model to capture characteristics of regime switching of the market. The HMM is useful for recognizing patterns of time series to divide the regime of market volatility. This study estimated the volatility of bitcoin by using data from Upbit, a cryptocurrency trading site, and analyzed it by dividing the volatility regime of the market to improve the performance of the SV model. The MCMC technique is used to estimate the parameters of the SV model, and the performance of the model is verified through evaluation criteria such as MAPE and MSE.

• Proceedings of the KAIS Fall Conference
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• 2011.05b
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• pp.757-760
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• 2011

본 논문의 주목적은 확률변수의 내삽을 이용하여 Mg-Al-Zn합금에 적합한 확률론적 피로균열전파모델을 평가하여 제시하는 것이다. 모델을 평가하기 위하여 최대하중조건을 변화시키면서 피로균열전파실험을 수행하였으며, 실험을 통해 통계적 피로데이터를 확보하였다. 균열성장의 불확실성을 묘사하기 위하여 실험적 피로균열전파모델에 확률변수를 도입한 확률론적 피로균열전파모델을 제안하였으며, 각 모델의 파라미터는 최우추정법으로 추정하였다. 제안된 모델의 적합성을 평가하기 위하여 균열성장에 따른 확률변수의 내삽데이터를 이용하였으며, 평가한 결과 Mg-Al-Zn합금에 적합한 모델은 '확률론적 Paris-Erdogan모델'과 '확률론적 Walker모델'임을 규명하였다.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.36 no.5A
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• pp.450-456
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• 2011

In this paper, idle channel search schemes based on spectrum sensing are proposed for cognitive radio systems with multiple channels. Specifically, we propose a scheme for determining the order of sensing for multiple channels, for which the probability of each channel being idle is estimated every search interval. By performing sensing in the descending order of the probabilities, the time required for searching idle channels is expected to decrease. In addition, we combine the proposed scheme with a user grouping scheme to further improve the sensing performance. Simulation results show that the user grouping reduces the search time, although it degrades the reliability of detection. The proposed search scheme based on probability estimation of channel idleness is found to reduce the search time significantly as compared to the conventional random search scheme. We apply both the proposed search scheme and user grouping scheme to a cognitive radio system to validate the overall performance.

• Journal of the Computational Structural Engineering Institute of Korea
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• v.36 no.3
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• pp.203-211
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• 2023

A Markov chain Monte Carlo (MCMC) simulation is proposed for probabilistic full waveform inversion (FWI) in a layered half-space. Dynamic responses on the half-space surface are estimated using the thin-layer method when a harmonic vertical force is applied. Subsequently, a posterior probability distribution function and the corresponding objective function are formulated to minimize the difference between estimations and observed data as well as that of model parameters from prior information. Based on the gradient of the objective function, a proposal distribution and an acceptance probability for MCMC samples are proposed. The proposed MCMC simulation is applied to several layered half-space examples. It is demonstrated that the proposed MCMC simulation for probabilistic FWI can estimate probabilistic material properties such as the shear-wave velocities of a layered half-space.

• The KIPS Transactions:PartB
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• v.13B no.1 s.104
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• pp.27-34
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• 2006

In this study, we propose this new algorithm that generates score function in ICA(Independent Component Analysis) using entropy theory. To generate score function, estimation of probability density function about original signals are certainly necessary and density function should be differentiated. Therefore, we used kernel density estimation method in order to derive differential equation of score function by original signal. After changing formula to convolution form to increase speed of density estimation, we used FFT algorithm that can calculate convolution faster. Proposed score function generation method reduces the errors, it is density difference of recovered signals and originals signals. In the result of computer simulation, we estimate density function more similar to original signals compared with Extended Infomax and Fixed Point ICA in blind source separation problem and get improved performance at the SNR(Signal to Noise Ratio) between recovered signals and original signal.